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A flexible derivative-free solver for (bound constrained) general objective minimization

Project description

Build Status GNU GPL v3 License Latest PyPI version DOI:10.5281/zenodo.2630437

Py-BOBYQA is a flexible package for solving bound-constrained general objective minimization, without requiring derivatives of the objective. At its core, it is a Python implementation of the BOBYQA algorithm by Powell, but Py-BOBYQA has extra features improving its performance on some problems (see the papers below for details). Py-BOBYQA is particularly useful when evaluations of the objective function are expensive and/or noisy.

More details about Py-BOBYQA and its enhancements over BOBYQA can be found in our papers:

  1. Coralia Cartis, Jan Fiala, Benjamin Marteau and Lindon Roberts, Improving the Flexibility and Robustness of Model-Based Derivative-Free Optimization Solvers, ACM Transactions on Mathematical Software, 45:3 (2019), pp. 32:1-32:41 [arXiv preprint: 1804.00154]
  2. Coralia Cartis, Lindon Roberts and Oliver Sheridan-Methven, Escaping local minima with derivative-free methods: a numerical investigation, Optimization (2021). [arXiv preprint: 1812.11343]

Please cite [1] when using Py-BOBYQA for local optimization, and [1,2] when using Py-BOBYQA’s global optimization heuristic functionality. For reproducibility of all figures, please feel free to contact the authors.

The original paper by Powell is: M. J. D. Powell, The BOBYQA algorithm for bound constrained optimization without derivatives, technical report DAMTP 2009/NA06, University of Cambridge (2009), and the original Fortran implementation is available here.

If you are interested in solving least-squares minimization problems, you may wish to try DFO-LS, which has the same features as Py-BOBYQA (plus some more), and exploits the least-squares problem structure, so performs better on such problems.

Documentation

See manual.pdf or the online manual.

Citation

If you use Py-BOBYQA in a paper, please cite:

Cartis, C., Fiala, J., Marteau, B. and Roberts, L., Improving the Flexibility and Robustness of Model-Based Derivative-Free Optimization Solvers, ACM Transactions on Mathematical Software, 45:3 (2019), pp. 32:1-32:41.

If you use Py-BOBYQA’s global optimization heuristic, please cite the above and also

Cartis, C., Roberts, L. and Sheridan-Methven, O., Escaping local minima with derivative-free methods: a numerical investigation, Optimization, (2021).

Requirements

Py-BOBYQA requires the following software to be installed:

Additionally, the following python packages should be installed (these will be installed automatically if using pip, see Installation using pip):

Optional package: Py-BOBYQA versions 1.2 and higher also support the trustregion package for fast trust-region subproblem solutions. To install this, make sure you have a Fortran compiler (e.g. gfortran) and NumPy installed, then run pip install trustregion. You do not have to have trustregion installed for Py-BOBYQA to work, and it is not installed by default.

Installation using pip

For easy installation, use pip as root:

$ [sudo] pip install Py-BOBYQA

or alternatively easy_install:

$ [sudo] easy_install Py-BOBYQA

If you do not have root privileges or you want to install Py-BOBYQA for your private use, you can use:

$ pip install --user Py-BOBYQA

which will install Py-BOBYQA in your home directory.

Note that if an older install of Py-BOBYQA is present on your system you can use:

$ [sudo] pip install --upgrade Py-BOBYQA

to upgrade Py-BOBYQA to the latest version.

Manual installation

Alternatively, you can download the source code from Github and unpack as follows:

$ git clone https://github.com/numericalalgorithmsgroup/pybobyqa
$ cd pybobyqa

Py-BOBYQA is written in pure Python and requires no compilation. It can be installed using:

$ [sudo] pip install .

If you do not have root privileges or you want to install Py-BOBYQA for your private use, you can use:

$ pip install --user .

instead.

To upgrade Py-BOBYQA to the latest version, navigate to the top-level directory (i.e. the one containing setup.py) and rerun the installation using pip, as above:

$ git pull
$ [sudo] pip install .  # with admin privileges

Testing

If you installed Py-BOBYQA manually, you can test your installation by running:

$ python setup.py test

Alternatively, the HTML documentation provides some simple examples of how to run Py-BOBYQA.

Examples

Examples of how to run Py-BOBYQA are given in the online documentation, and the examples directory in Github.

Uninstallation

If Py-BOBYQA was installed using pip you can uninstall as follows:

$ [sudo] pip uninstall Py-BOBYQA

If Py-BOBYQA was installed manually you have to remove the installed files by hand (located in your python site-packages directory).

Bugs

Please report any bugs using GitHub’s issue tracker.

License

This algorithm is released under the GNU GPL license. Please contact NAG for alternative licensing.

Project details


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